Triangular currency arbitrage starting with 1000 USD
Question
You hold $1000. The available conversions are: one US dollar buys euros; euros buy one pound; one pound buys US dollars. Trading optimally, how much profit can you make, to the nearest cent?
Short answer
$20. Go dollars to euros (), euros to pounds (), then pounds back to dollars (). The cycle multiplies wealth by .
Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.
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